Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5057715 | Economics Letters | 2017 | 5 Pages |
â¢A new bandwidth selection rule for estimating functions of the discontinuity in the density is proposed.â¢The rule selects different bandwidths for both sides of the discontinuity and yields smaller asymptotic MSE than currently popular methods.â¢A simulation study demonstrates the advantage of the proposed bandwidth selection rule.â¢An empirical example illustrates the practical usefulness of our bandwidth selection rule.
We derive an optimal bandwidth selection rule for estimating a function of two one-sided limits of the probability density function at two cut-off points by the local linear estimation method. Our rule follows Arai and Ichimura (2015, AI, hereafter)'s principle and selects two bandwidths simultaneously, one for each cut-off point. Simulation results are presented. We also illustrate the usefulness of the method in an empirical application.